Alterations in health-related fatty acids in buffalo milk after processing to traditional dairy products

Milk provides some beneficial fatty acids which in dairy processing are subjected to pasteurization and fermentation. With the aim to assess such changes, aliquot parts of milk from 12 buffaloes were pooled and processed to germinated yoghurt and brined cheese, and to non-germinated curd – the respective samples of raw and dairy material subjected to lipid analysis. The results show that in cheese positive and negative changes are generally balanced, rumenic acid decreasing and other CLAs altered but not total CLA and PUFA; omega ratio and atherogenicity index worsened to little extent, due to adverse change in n-3, myristic and lauric acid. In yoghurt and curd CLA dramatically decreased, excluding rumenic acid; but vaccenic acid increased, though total trans isomers decreased; the worsened n-6/n-3 ratio and atherogenicity index is mostly because of the adverse effect on PUFAn-3 but also on myristic and lauric acid. In all products SFA and MUFA did not change, including palmitic, stearic, and oleic acid. It can be concluded that the decrease of CLA in yoghurt and curd is partially compensated by the increase in the vaccenic acid, while cheese making altered individual isomers but not groups of beneficial acids.

Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities

The previous studies have shown that capital market integration has increased in the ASEAN-5, implying that investors making investment diversification across ASEAN capital markets could only earn limited diversification advantages. To diversify their portfolios, equity investors must find other assets. The main focus of this research is to analyze the effectiveness of put replication, gold, and oil on hedge equities in the ASEAN-5 (Indonesia, Malaysia, Singapore, Thailand, and the Philippines). Protective put strategy, DCC-GARCH, and Markowitz optimization are used to measure hedge effectiveness, risk-adjusted-performance such as Sharpe ratio, drawdown, and Omega ratio. The result reveals that gold is a cheaper hedge than oil and oil-hedged strategy is more expensive in ASEAN-5 compared to oil exporting nations. Also, investors with big exposure to the oil-related portfolio should diversify to Philippine equity. From hedging effectiveness and risk-adjusted-performance perspectives, oil is less attractive than money market instruments and gold. This study also implies that risk-averse investors should prefer to put replication or guaranteed financial products compared to commodities-hedged strategy.

PERFORMANCE EVALUATION OF EXCHANGE TRADED FUND IN THE INDONESIA STOCK EXCHANGE

This study evaluates the performance of the Exchange Traded Fund (ETF) index in the Indonesia Stock Exchange by using the Treynor Ratio, Sharpe Ratio, Sortino Ratio, Jensen Alpha, Information Ratio, and Omega Ratio. There are 12 ETFs to be evaluated, R-LQ45X, XIIC, XIIT, XIJI, XISI, XISR, XIIF, XISC, XPLQ, XPDV, XPES, XPLC. The data used in this study are the weekly closing price and risk-free investment that is represented by the BI rate from January 2018 to December 2019. The result of this study shows that there are only two of the ETF that has better performance than risk-free investment, namely XIIT and R-LQ45X if it is calculated by using the Sharpe Ratio, Sortino Ratio, Information Ratio, and Omega Ratio. In contrast, the Treynor Ratio and Jensen Alpha show negative value or worse than risk-free investment.

Optimal omega-ratio portfolio performance constrained by tracking error

The mean-variance framework coupled with the Sharpe ratio identifies optimal portfolios under the passive investment style. Optimal portfolio identification under active investment approaches, where performance is measured relative to a benchmark, is less well-known. Active portfolios subject to tracking error (TE) constraints lie on distorted elliptical frontiers in return/risk space. Identifying optimal active portfolios, however defined, have only recently begun to be explored. The Ω – ratio considers both down and upside portfolio potential. Recent work has established a technique to determine optimal Ω – ratio portfolios under the passive investment approach. The authors apply the identification of optimal Ω – ratio portfolios to the active arena (i.e., to portfolios constrained by a TE) and find that while passive managers should always invest in maximum Ω – ratio portfolios, active managers should first establish market conditions (which determine the sign of the main axis slope of the constant TE frontier). Maximum Sharpe ratio portfolios should be engaged when this slope is > 0 and maximum Ω – ratios when < 0.

Unbalanced omega ratio and omega 3 deficiencies in world makes our immune system less effective to fight with virus and other infections

According to the report of a global survey of the omega-3 fatty acids. majorities of countries in the world are facing the deficiency of essential fatty acids specially of omega 3, this very low level of essential fatty acid leads to increase global risk for chronic disease. Many reports are published about the role of omega 3 on the immune system in health and in diseases, especially those caused by the excessive inflammatory response. Numerous studies have shown that these compounds are immunoregulatory and immunosuppressive and thus may increase susceptibility to infection. They also manipulate the functions of antigen-presenting cells and lymphocytes, including T and B cells, NK cells, LAK cells and also T regulatory cells. In this article, we made a simple attempt to elucidate the effect of omega-3 deficiency in our immune system, especially during the virus and other infections. In this period of severe virus infections studies on omega3 and its role in immune is of great Interest.

MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY

Constant proportion portfolio insurance (CPPI) strategy is a very popular investment solution which provides an investor with a capital protection as well as allows for an equity market participation. In this paper, we propose a two-step approach to the numerical optimization of the CPPI main parameter, multiplier. First, we identify an admissible range of the multiplier values by controlling the shortfall probability (chosen as a measure of the gap risk). Second, within the admissible range, we choose the optimal multiplier value with respect to the omega ratio (chosen as a performance measure). We illustrate the performance of our optimization algorithm on simulated CPPI paths in the Black–Scholes environment with discrete trading as well as on the historical S&P500 data using the block-bootstrap simulations.

Performance Appraisal of Open-ended Equity Funds in Pakistan: An alternative Approaches of Performance Measure

There are more than one hundred portfolio performances, which have been proposed in financial literature, (Cogneau and Hubner, 2009), but extensively used performance measure is a Sharpe ratio and in Pakistan Asset Management Companies (AMCs) also prefer to exhibit their performance in Sharpe ratio. However, financial literature has ample of evidence that recommend Sharpe ratio is valid under normal distribution of returns. The financial returns are not distributed normally as result of which standard deviation may not adequately measure risk (Bodie et al., 2009). Whereas, standard deviation of negatively skewed distribution underestimates and positively skewed overestimates volatility that would be misleading Sharpe index. In this study, we concluded that for skewed and non-normal distribution Omega ratio or Sharpe-Omega are alternative performance measures.

ANÁLISIS DE LOS FONDOS DE PENSIONES EN CHILE: PERIODO 2011-2018

The objectives of this study are: 1) Carry out a comparative study of the performance of the different pension funds of each of the AFPs; 2) Carry out a comparative study of the historical performance of the different pension funds of each of the AFPs and compare them, in addition, with results of previous studies carried out by other authors. The scope of this paper is defined as a descriptive-correlational investigation, because it is intended to identify the results of the management of investment portfolios, without manipulating the variables of the problem, these are iden- tified and described as they occur in their context financial, to then analyze them from a temporal and quantitative comparative perspective, based on the Principle of Investor Rationality of Harry Markowitz and applying the Sharpe, Treynor, Jensen and Omega ratio as performance models. An important result observed is that, for this period of 8 years, all AFPs and funds present positive monthly average returns, even though the years 2011 and 2018 show losses, especially funds A, B and C. For their part, the benchmark of Market (IPSA) shows a negative performance. The financial performance ratios are all positive, which indicates that the performance / risk ratio is satisfied. The different returns between AFP and IPSA are explained because pension funds have a high percentage of invest- ments abroad and include fixed income instruments. A more relevant comparison would be to reference the actual results with those of an equivalent fictitious portfolio, but to date, there are no studies that allow defining the parame- ters necessary to form said portfolio. Non-traditional ratios, such as Omega, are coincident when the distributions of the results have a normal configuration. In addition, the conclusion is shared with previous studies, that the AFPs tend to keep portfolios similar to each other, trying not to fall below the profitability of the system.